Covariate Unit Root Tests with Good Size and Power

The selection of the truncation lag for covariate unit root tests is analyzed using Monte Carlo simulation. It is shown that standard information criteria such as the BIC or the AIC can result in tests with large size distortions. Modifi ed information criteria can be used to construct tests with good size and power. An empirical illustration is provided.

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Year of publication:	2011-05-01
Authors:	Fossati, Sebastian
Institutions:	Department of Economics, University of Alberta
Subject:	unit root tests \| truncation lag \| information criteria \| vector autoregressions

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers Number 2011-4 31 pages
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009131073